Last updated: January 8, 2021
This table summarizes the latest bond ratings and appropriate default spreads
for different countries. While you can use these numbers as rough estimates
of country risk premiums, you may want to modify the premia to reflect
the additonal risk of equity markets. To estimate the long term country equity
risk premium, I start with a default spread, which I obtain in one of two ways:
(1) I use
the local currency sovereign rating (from Moody's: www.moodys.com)
and estimate the default spread for that rating (based upon traded
country bonds) over a default free government bond rate. For countries without a Moody's rating but with an S&P rating, I use the Moody's equivalent of the S&P rating. To get the default spreads by sovereign rating, I use the CDS spreads and compute the average CDS spread by rating. Using that number as a basis, I extrapolate for those ratings for which I have no CDS spreads.
(2) I start with the CDS spread for the country, if one is available and subtract out the US CDS spread, since my mature market premium is derived from the US market. That difference becomes the country spread. For the few countries that have CDS spreads that are lower than the US, I will get a negative number.
You can add just this default spread to the mature market premium to arrive at the total equity risk premium.
I add an additional step. In the short term especially, the equity country risk premium
is likely to be greater than the country's default spread. You can
estimate an adjusted country risk premium by multiplying the default
spread by the relative equity market volatility for that market (Std
dev in country equity market/Std dev in country bond). Sicnce government bonds are not available or traded in most countries, I approximate the relative equity market volatility by estimating the standard deviations in two indices, the S&P emerging market equity index (for equities) and the S&P emerging market government bond index (for government bonds), and using that ratio for all countries to estimate the additional country risk premium. Finally, I add that country risk premium to my estimate of a mature market equity risk premium, for which I use the implied equity ris premium of the S&P 500.
| Country | Africa | Moody's rating | Rating-based Default Spread | Total Equity Risk Premium | Country Risk Premium |
| Abu Dhabi | Middle East | Aa2 | 0.44% | 5.20% | 0.48% |
| Albania | Eastern Europe & Russia | B1 | 3.98% | 9.08% | 4.36% |
| Andorra (Principality of) | Western Europe | Caa1 | 6.63% | 11.98% | 7.26% |
| Angola | Africa | Caa1 | 6.63% | 11.98% | 7.26% |
| Argentina | Central and South America | Ca | 10.60% | 16.34% | 11.62% |
| Armenia | Eastern Europe & Russia | Ba3 | 3.18% | 8.21% | 3.49% |
| Aruba | Caribbean | Baa1 | 1.41% | 6.27% | 1.55% |
| Australia | Australia & New Zealand | Aaa | 0.00% | 4.72% | 0.00% |
| Austria | Western Europe | Aa1 | 0.35% | 5.10% | 0.38% |
| Azerbaijan | Eastern Europe & Russia | Ba2 | 2.65% | 7.63% | 2.91% |
| Bahamas | Caribbean | Ba2 | 2.65% | 7.63% | 2.91% |
| Bahrain | Middle East | B2 | 4.86% | 10.05% | 5.33% |
| Bangladesh | Asia | Ba3 | 3.18% | 8.21% | 3.49% |
| Barbados | Caribbean | Caa1 | 6.63% | 11.98% | 7.26% |
| Belarus | Eastern Europe & Russia | B3 | 5.75% | 11.02% | 6.30% |
| Belgium | Western Europe | Aa3 | 0.53% | 5.31% | 0.59% |
| Belize | Central and South America | Caa3 | 8.83% | 14.40% | 9.68% |
| Benin | Africa | B2 | 4.86% | 10.05% | 5.33% |
| Bermuda | Caribbean | A2 | 0.75% | 5.54% | 0.82% |
| Bolivia | Central and South America | B2 | 4.86% | 10.05% | 5.33% |
| Bosnia and Herzegovina | Eastern Europe & Russia | B3 | 5.75% | 11.02% | 6.30% |
| Botswana | Africa | A2 | 0.75% | 5.54% | 0.82% |
| Brazil | Central and South America | Ba2 | 2.65% | 7.63% | 2.91% |
| Bulgaria | Eastern Europe & Russia | Baa1 | 1.41% | 6.27% | 1.55% |
| Burkina Faso | Africa | B2 | 4.86% | 10.05% | 5.33% |
| Cambodia | Asia | B2 | 4.86% | 10.05% | 5.33% |
| Cameroon | Africa | B2 | 4.86% | 10.05% | 5.33% |
| Canada | North America | Aaa | 0.00% | 4.72% | 0.00% |
| Cape Verde | Africa | B2 | 4.86% | 10.05% | 5.33% |
| Cayman Islands | Caribbean | Aa3 | 0.53% | 5.31% | 0.59% |
| Chile | Central and South America | A1 | 0.62% | 5.40% | 0.68% |
| China | Asia | A1 | 0.62% | 5.40% | 0.68% |
| Colombia | Central and South America | Baa2 | 1.68% | 6.56% | 1.84% |
| Congo (Democratic Republic of) | Africa | Caa1 | 6.63% | 11.98% | 7.26% |
| Congo (Republic of) | Africa | Caa2 | 7.96% | 13.44% | 8.72% |
| Cook Islands | Australia & New Zealand | B1 | 3.98% | 9.08% | 4.36% |
| Costa Rica | Central and South America | B2 | 4.86% | 10.05% | 5.33% |
| Côte d'Ivoire | Africa | Ba3 | 3.18% | 8.21% | 3.49% |
| Croatia | Eastern Europe & Russia | Ba1 | 2.21% | 7.14% | 2.42% |
| Cuba | Caribbean | Caa2 | 7.96% | 13.44% | 8.72% |
| Curacao | Caribbean | A3 | 1.06% | 5.88% | 1.16% |
| Cyprus | Western Europe | Ba2 | 2.65% | 7.63% | 2.91% |
| Czech Republic | Eastern Europe & Russia | Aa3 | 0.53% | 5.31% | 0.59% |
| Denmark | Western Europe | Aaa | 0.00% | 4.72% | 0.00% |
| Dominican Republic | Caribbean | Ba3 | 3.18% | 8.21% | 3.49% |
| Ecuador | Central and South America | Caa3 | 8.83% | 14.40% | 9.68% |
| Egypt | Africa | B2 | 4.86% | 10.05% | 5.33% |
| El Salvador | Central and South America | B3 | 5.75% | 11.02% | 6.30% |
| Estonia | Eastern Europe & Russia | A1 | 0.62% | 5.40% | 0.68% |
| Ethiopia | Africa | B2 | 4.86% | 10.05% | 5.33% |
| Fiji | Asia | Ba3 | 3.18% | 8.21% | 3.49% |
| Finland | Western Europe | Aa1 | 0.35% | 5.10% | 0.38% |
| France | Western Europe | Aa2 | 0.44% | 5.20% | 0.48% |
| Gabon | Africa | Caa1 | 6.63% | 11.98% | 7.26% |
| Georgia | Eastern Europe & Russia | Ba2 | 2.65% | 7.63% | 2.91% |
| Germany | Western Europe | Aaa | 0.00% | 4.72% | 0.00% |
| Ghana | Africa | B3 | 5.75% | 11.02% | 6.30% |
| Greece | Western Europe | Ba3 | 3.18% | 8.21% | 3.49% |
| Guatemala | Central and South America | Ba1 | 2.21% | 7.14% | 2.42% |
| Guernsey (States of) | Western Europe | Aaa | 0.00% | 4.72% | 0.00% |
| Honduras | Central and South America | B1 | 3.98% | 9.08% | 4.36% |
| Hong Kong | Asia | Aa3 | 0.53% | 5.31% | 0.59% |
| Hungary | Eastern Europe & Russia | Baa3 | 1.95% | 6.85% | 2.13% |
| Iceland | Western Europe | A2 | 0.75% | 5.54% | 0.82% |
| India | Asia | Baa3 | 1.95% | 6.85% | 2.13% |
| Indonesia | Asia | Baa2 | 1.68% | 6.56% | 1.84% |
| Iraq | Middle East | Caa1 | 6.63% | 11.98% | 7.26% |
| Ireland | Western Europe | A2 | 0.75% | 5.54% | 0.82% |
| Isle of Man | Western Europe | Aa3 | 0.53% | 5.31% | 0.59% |
| Israel | Middle East | A1 | 0.62% | 5.40% | 0.68% |
| Italy | Western Europe | Baa3 | 1.95% | 6.85% | 2.13% |
| Jamaica | Caribbean | B2 | 4.86% | 10.05% | 5.33% |
| Japan | Asia | A1 | 0.62% | 5.40% | 0.68% |
| Jersey (States of) | Western Europe | Aaa | 0.00% | 4.72% | 0.00% |
| Jordan | Middle East | B1 | 3.98% | 9.08% | 4.36% |
| Kazakhstan | Eastern Europe & Russia | Baa3 | 1.95% | 6.85% | 2.13% |
| Kenya | Africa | B2 | 4.86% | 10.05% | 5.33% |
| Korea | Asia | Aa2 | 0.44% | 5.20% | 0.48% |
| Kuwait | Middle East | A1 | 0.62% | 5.40% | 0.68% |
| Kyrgyzstan | Eastern Europe & Russia | B2 | 4.86% | 10.05% | 5.33% |
| Laos | Asia | Caa2 | 7.96% | 13.44% | 8.72% |
| Latvia | Eastern Europe & Russia | A3 | 1.06% | 5.88% | 1.16% |
| Lebanon | Middle East | C | 17.50% | 23.90% | 19.18% |
| Liechtenstein | Western Europe | Aaa | 0.00% | 4.72% | 0.00% |
| Lithuania | Eastern Europe & Russia | A3 | 1.06% | 5.88% | 1.16% |
| Luxembourg | Western Europe | Aaa | 0.00% | 4.72% | 0.00% |
| Macao | Asia | Aa3 | 0.53% | 5.31% | 0.59% |
| Macedonia | Eastern Europe & Russia | Ba3 | 3.18% | 8.21% | 3.49% |
| Malaysia | Asia | A3 | 1.06% | 5.88% | 1.16% |
| Maldives | Asia | B3 | 5.75% | 11.02% | 6.30% |
| Mali | Africa | Caa1 | 6.63% | 11.98% | 7.26% |
| Malta | Western Europe | A2 | 0.75% | 5.54% | 0.82% |
| Mauritius | Asia | Baa1 | 1.41% | 6.27% | 1.55% |
| Mexico | Central and South America | Baa1 | 1.41% | 6.27% | 1.55% |
| Moldova | Eastern Europe & Russia | B3 | 5.75% | 11.02% | 6.30% |
| Mongolia | Asia | B3 | 5.75% | 11.02% | 6.30% |
| Montenegro | Eastern Europe & Russia | B1 | 3.98% | 9.08% | 4.36% |
| Montserrat | Caribbean | Baa3 | 1.95% | 6.85% | 2.13% |
| Morocco | Africa | Ba1 | 2.21% | 7.14% | 2.42% |
| Mozambique | Africa | Caa2 | 7.96% | 13.44% | 8.72% |
| Namibia | Africa | Ba3 | 3.18% | 8.21% | 3.49% |
| Netherlands | Western Europe | Aaa | 0.00% | 4.72% | 0.00% |
| New Zealand | Australia & New Zealand | Aaa | 0.00% | 4.72% | 0.00% |
| Nicaragua | Central and South America | B3 | 5.75% | 11.02% | 6.30% |
| Niger | Africa | B3 | 5.75% | 11.02% | 6.30% |
| Nigeria | Africa | B2 | 4.86% | 10.05% | 5.33% |
| Norway | Western Europe | Aaa | 0.00% | 4.72% | 0.00% |
| Oman | Middle East | Ba3 | 3.18% | 8.21% | 3.49% |
| Pakistan | Asia | B3 | 5.75% | 11.02% | 6.30% |
| Panama | Central and South America | Baa1 | 1.41% | 6.27% | 1.55% |
| Papua New Guinea | Asia | B2 | 4.86% | 10.05% | 5.33% |
| Paraguay | Central and South America | Ba1 | 2.21% | 7.14% | 2.42% |
| Peru | Central and South America | A3 | 1.06% | 5.88% | 1.16% |
| Philippines | Asia | Baa2 | 1.68% | 6.56% | 1.84% |
| Poland | Eastern Europe & Russia | A2 | 0.75% | 5.54% | 0.82% |
| Portugal | Western Europe | Baa3 | 1.95% | 6.85% | 2.13% |
| Qatar | Middle East | Aa3 | 0.53% | 5.31% | 0.59% |
| Ras Al Khaimah (Emirate of) | Middle East | Aaa | 0.00% | 4.72% | 0.00% |
| Romania | Eastern Europe & Russia | Baa3 | 1.95% | 6.85% | 2.13% |
| Russia | Eastern Europe & Russia | Baa3 | 1.95% | 6.85% | 2.13% |
| Rwanda | Africa | B2 | 4.86% | 10.05% | 5.33% |
| Saudi Arabia | Middle East | A1 | 0.62% | 5.40% | 0.68% |
| Senegal | Africa | Ba3 | 3.18% | 8.21% | 3.49% |
| Serbia | Eastern Europe & Russia | Ba3 | 3.18% | 8.21% | 3.49% |
| Sharjah | Middle East | Baa2 | 1.68% | 6.56% | 1.84% |
| Singapore | Asia | Aaa | 0.00% | 4.72% | 0.00% |
| Slovakia | Eastern Europe & Russia | A2 | 0.75% | 5.54% | 0.82% |
| Slovenia | Eastern Europe & Russia | A3 | 1.06% | 5.88% | 1.16% |
| Solomon Islands | Asia | B3 | 5.75% | 11.02% | 6.30% |
| South Africa | Africa | Ba2 | 2.65% | 7.63% | 2.91% |
| Spain | Western Europe | Baa1 | 1.41% | 6.27% | 1.55% |
| Sri Lanka | Asia | Caa1 | 6.63% | 11.98% | 7.26% |
| St. Maarten | Caribbean | Baa3 | 1.95% | 6.85% | 2.13% |
| St. Vincent & the Grenadines | Caribbean | B3 | 5.75% | 11.02% | 6.30% |
| Suriname | Central and South America | Caa3 | 8.83% | 14.40% | 9.68% |
| Swaziland | Africa | B3 | 5.75% | 11.02% | 6.30% |
| Sweden | Western Europe | Aaa | 0.00% | 4.72% | 0.00% |
| Switzerland | Western Europe | Aaa | 0.00% | 4.72% | 0.00% |
| Taiwan | Asia | Aa3 | 0.53% | 5.31% | 0.59% |
| Tajikistan | Eastern Europe & Russia | B3 | 5.75% | 11.02% | 6.30% |
| Tanzania | Africa | B2 | 4.86% | 10.05% | 5.33% |
| Thailand | Asia | Baa1 | 1.41% | 6.27% | 1.55% |
| Togo | Africa | B3 | 5.75% | 11.02% | 6.30% |
| Trinidad and Tobago | Caribbean | Ba1 | 2.21% | 7.14% | 2.42% |
| Tunisia | Africa | B2 | 4.86% | 10.05% | 5.33% |
| Turkey | Western Europe | B2 | 4.86% | 10.05% | 5.33% |
| Turks and Caicos Islands | Caribbean | Baa1 | 1.41% | 6.27% | 1.55% |
| Uganda | Africa | B2 | 4.86% | 10.05% | 5.33% |
| Ukraine | Eastern Europe & Russia | B3 | 5.75% | 11.02% | 6.30% |
| United Arab Emirates | Middle East | Aa2 | 0.44% | 5.20% | 0.48% |
| United Kingdom | Western Europe | Aa3 | 0.53% | 5.31% | 0.59% |
| United States | North America | Aaa | 0.00% | 4.72% | 0.00% |
| Uruguay | Central and South America | Baa2 | 1.27% | 6.56% | 1.68% |
| Uzbekistan | Eastern Europe & Russia | B1 | 3.98% | 9.08% | 4.36% |
| Venezuela | Central and South America | C | 17.50% | 23.90% | 19.18% |
| Vietnam | Asia | Ba3 | 3.18% | 8.21% | 3.49% |
| Zambia | Africa | Ca | 10.60% | 16.34% | 11.62% |
| Frontier Markets (no sovereign ratings) | |||||
| Country | PRS Composite Risk Score | ERP | CRP | Default Spread | |
| Algeria | 57.25 | 13.44% | 8.72% | 7.96% | |
| Brunei | 80 | 5.54% | 0.82% | 0.75% | |
| Gambia | 63.75 | 11.02% | 6.30% | 5.75% | |
| Guinea | 53.5 | 16.34% | 11.62% | 10.60% | |
| Guinea-Bissau | 62 | 11.98% | 7.26% | 6.63% | |
| Guyana | 65.75 | 10.05% | 5.33% | 4.86% | |
| Haiti | 52.75 | 16.34% | 11.62% | 10.60% | |
| Iran | 59.25 | 13.44% | 8.72% | 7.96% | |
| Korea, D.P.R. | 50.75 | 16.34% | 11.62% | 10.60% | |
| Liberia | 53.5 | 16.34% | 11.62% | 10.60% | |
| Libya | 58.25 | 13.44% | 8.72% | 7.96% | |
| Madagascar | 63.25 | 11.02% | 6.30% | 5.75% | |
| Malawi | 58.75 | 13.44% | 8.72% | 7.96% | |
| Myanmar | 63.75 | 11.02% | 6.30% | 5.75% | |
| Sierra Leone | 58.75 | 13.44% | 8.72% | 7.96% | |
| Somalia | 50.5 | 16.34% | 11.62% | 10.60% | |
| Sudan | 38.25 | 23.90% | 19.18% | 17.50% | |
| Syria | 47 | 23.90% | 19.18% | 17.50% | |
| Yemen, Republic | 50 | 23.90% | 19.18% | 17.50% | |
| Zimbabwe | 52.25 | 16.34% | 11.62% | 10.60% | |
For more details, download the excel spreadsheet that contains this data on my website: http://www.stern.nyu.edu/~adamodar/pc/datasets/ctryprem.xlsx
If you are interested in my approach to computing the equity risk premium, download my magnum opus (just kidding):
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3550293
And my paper on measuring country risk
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3653512
Last updated: January 2021
Aswath Damodaran